Exponential Families and Maximum Entropy

Robert NishiharaProbability, StatisticsLeave a Comment

An exponential family parametrized by is the set of probability distributions that can be expressed as     for given functions (the partition function), , and (the vector of sufficient statistics). Exponential families can be discrete or continuous, and examples include Gaussian distributions, Poisson distributions, and gamma distributions. Exponential families have a number of desirable properties. For instance, they have conjugate priors and they can summarize arbitrary amounts of data using a fixed-size vector of sufficient statistics. But in addition to their convenience, their use is theoretically justified.